In a medium saucepan combine water, sugar, and cinnamon. Simmer for 10 minutes. Add coconut and simmer for 5 more minutes. Set aside to cool slightly.
Measure milk and whisk the cornstarch and salt into it making sure there are no lumps. Slowly pour the milk mixture into the sugar water while stirring.
Heat the mixture to a full boil slowly. Stir constantly. Allow to boil for 1 minute.
Remove from heat and add vanilla.
Pour into a dish and refrigerate. The pudding will be soft set when done.